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Multivariate genera...
Multivariate generalized Pareto distributions: Parametrizations, representations, and properties
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- Rootzén, Holger, 1945 (author)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper,Department of Mathematical Sciences,Chalmers tekniska högskola,Chalmers University of Technology
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- Segers, Johan (author)
- Universite catholique de Louvain
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- Wadsworth, Jennifer L. (author)
- Lancaster University
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(creator_code:org_t)
- Elsevier BV, 2018
- 2018
- English.
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In: Journal of Multivariate Analysis. - : Elsevier BV. - 0047-259X .- 1095-7243. ; 165, s. 117-131
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Abstract
Subject headings
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- © 2017 Elsevier Inc. Multivariate generalized Pareto distributions arise as the limit distributions of exceedances over multivariate thresholds of random vectors in the domain of attraction of a max-stable distribution. These distributions can be parametrized and represented in a number of different ways. Moreover, generalized Pareto distributions enjoy a number of interesting stability properties. An overview of the main features of such distributions is given, expressed compactly in several parametrizations, giving the potential user of these distributions a convenient catalogue of ways to handle and work with generalized Pareto distributions.
Subject headings
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Datorsystem (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Computer Systems (hsv//eng)
- NATURVETENSKAP -- Data- och informationsvetenskap -- Annan data- och informationsvetenskap (hsv//swe)
- NATURAL SCIENCES -- Computer and Information Sciences -- Other Computer and Information Science (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Exceedances
- Linear combination
- Maxima
- Stable tail dependence function
- Tail copula
- Tail copula
Publication and Content Type
- ref (subject category)
- art (subject category)
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